This is a summary of links featured on Quantocracy on Thursday, 08/04/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Avoiding Momentum Crashes [Alpha Architect]In our book Your Complete Guide to Factor-Based Investing, Andrew Berkin and I presented the evidence demonstrating that momentum, both cross-sectional (CSMOM) and time-series (TSMOM), has provided a premium that has been found to be persistent across time and economic regimes, pervasive around the globe and across sectors and asset classes (stocks, bonds, commodities, and currencies),